1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
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Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9216
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorSavva, Christos S.-
dc.contributor.otherΘεοδοσίου, Παναγιώτης-
dc.contributor.otherΣάββα, Χρίστος Σ.-
dc.date.accessioned2017-01-24T06:59:27Z-
dc.date.available2017-01-24T06:59:27Z-
dc.date.issued2016-06-01-
dc.identifier.citationManagement Science, 2016, vol. 62, no. 6, pp. 1598-1609en_US
dc.identifier.issn15265501-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/9216-
dc.description.abstractThe relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory. Evidence presented in this paper shows that these contradictions are the result of negative skewness in the distribution of portfolio excess return and the fact that the estimation of intertemporal asset pricing models are based on symmetric log-likelihood specifications.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofManagement Scienceen_US
dc.rights© INFORMSen_US
dc.subjectGARCH-Men_US
dc.subjectRisk-return trade-offen_US
dc.subjectSGT distributionen_US
dc.titleSkewness and the relation between risk and returnen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1287/mnsc.2015.2201en_US
dc.relation.issue6en_US
dc.relation.volume62en_US
cut.common.academicyear2020-2021en_US
dc.identifier.spage1598en_US
dc.identifier.epage1609en_US
item.languageiso639-1en-
item.cerifentitytypePublications-
item.fulltextNo Fulltext-
item.grantfulltextnone-
item.openairetypearticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.journal.journalissn1526-5501-
crisitem.journal.publisherInform-
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